*Tid:* **13 febuari 2012 kl 15.15-16.00.**
**Seminarierummet 3721**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7.
Karta!
*Föredragshållare:*
**
Professor Professor Paavo Salminen, Matematiska institutionen, Åbo
Akademi, Åbo, Finland
**
**Titel:**
Optimal stopping of strong Markov processes
**Abstract:**
The theory of optimal stopping is the crucial tool in, e.g.,
- sequential statistical testing of hypotheses,
- pricing of American options.
This survey talk is on methods for solving infinite horizon optimal
stopping problems for continuous time strong Markov processes.
Given
a non-negative smooth reward function G the problem is to find a stopping time
τ^{*} such that
sup_{τ∈M} E_{x}(G(X_{τ}))=
E_{x}(G(X_{τ*}))=
where X is the underlying process and M is the set of all
stopping times in the natural filtration of X.
We focus on verification theorems obtained by
- principle of smooth pasting,
- Riesz representation for excessive functions,
- representing excessive functions as expected suprema.
Some examples are presented, in particular, for Lévy processes.
The talk is concluded with a short discussion on the historical development
of the theory of optimal stopping.
Abstract as pdf-file.
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